International Journal of Engineering and Manufacturing(IJEM)

ISSN: 2305-3631 (Print), ISSN: 2306-5982 (Online)

Published By: MECS Press

IJEM Vol.2, No.2, Apr. 2012

Modeling Changing Graphical Structure

Full Text (PDF, 205KB), PP.50-57

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Fengjing Cai, Yuan Li

Index Terms

Graphical model, Time-Varying, Bayes


We introduce the graphical models to describe the changing dependency structure between multivariate time series and design the algorithm by the markov chain monte carlo method. The model is applied to the stock market of Shanghai in China to study the changing correlation of five segments of the market, empirical results show that there is stronger dependency structure in the bear market and weaker correlation in the bull market.

Cite This Paper

Fengjing Cai, Yuan Li,"Modeling Changing Graphical Structure", IJEM, vol.2, no.2, pp.50-57, 2012.


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